We are pleased to announce the major update to the Pair Trading Lab website. The goal is to bring more advanced features for pairs trading and also long-awaited features related to user experience.
So, what is new? Let's start:
- new release of the backtester / analyzer, which allows to simulate having bid-ask spread to make more precise backests getting closer to the real performance
- brand new FAQ page with much more questions and answer than before: https://www.pairtradinglab.com/faq
- new Kalman-Auto model: https://wiki.pairtradinglab.com/wiki/Pair_Trading_Models#Kalman-Auto_Model
- updated Portfolio Manager: you can now duplicate whole portfolios easily and you can copy subset of settings from single strategy to multiple strategies, which upgrades the whole software to the new level
- updated Pair Database: you can also search in historical versions of the database!
- you can add all (or selected) results from your Pair Database search to a new or existing portfolio wich a single click!
Imagine what are the possibilities of last two features while used together:
- query the database for pairs matching you criteria for historical period (example: in database due 2016-01-01)
- create portfolio of 20-30 pairs from results you get
- backtest the portfolio in the following period (since 2016-01-01)
- inspect your out of sample results to see how your selection criteria hold out-of-sample
This way you can create custom pair database queries while proving they hold in walk-forward test.
